The easiest way to use a coin door, is to buy a key encoder (such as an I-Pac, KE24, KE72, etc) and assign it to a key (such as "5", which is MAME's default key for "insert coin").
Also, you are right about switching games. You can get one of the front ends. Additionally, you may want to add a button on your cab encoded for ESC, which quits MAME and returns to the front end or menu.